Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
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Publication:3773300
DOI10.2307/2008326zbMath0634.65149OpenAlexW4237635451MaRDI QIDQ3773300
Publication date: 1987
Full work available at URL: https://doi.org/10.2307/2008326
numerical examplesdiffusionsGaussian random variablesmean square convergencevariance reduction techniqueRunge-Kutta-method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Probabilistic methods, stochastic differential equations (65C99)
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